Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0995 |
| Annualized Std Dev | 0.2624 |
| Annualized Sharpe (Rf=0%) | 0.3792 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4944.0000 |
| NAs | 1.0000 |
| Minimum | -0.1177 |
| Quartile 1 | -0.0068 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0089 |
| Maximum | 0.1218 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0165 |
| Skewness | 0.0530 |
| Kurtosis | 4.9140 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0116 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0163 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.6345 |
| Historical VaR (95%) | -0.0270 |
| Historical ES (95%) | -0.0390 |
| Modified VaR (95%) | -0.0248 |
| Modified ES (95%) | -0.0374 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2001-07-16 | 2002-10-07 | 2007-10-09 | -0.6345 | 1560 | 300 | 1260 |
| 2007-11-01 | 2008-11-20 | 2010-10-26 | -0.4981 | 752 | 267 | 485 |
| 2020-02-20 | 2020-03-16 | 2020-05-29 | -0.3030 | 70 | 18 | 52 |
| 2011-07-08 | 2011-08-19 | 2012-03-13 | -0.2630 | 172 | 31 | 141 |
| 2018-09-17 | 2018-12-24 | 2019-02-22 | -0.2254 | 109 | 69 | 40 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | -0.8 | 1.6 | -2.2 | 2 | -2.3 | -1.7 | -3.4 |
| 2002 | 0.1 | 4.9 | 0.3 | -2.1 | -2.1 | -5.3 | -3.4 | -3.6 | 1.6 | 2.8 | -0.5 | -1.7 | -9.1 |
| 2003 | 0 | -0.2 | 0.4 | 1.1 | 0.9 | 1.4 | -0.6 | 1.3 | 2.9 | 0.1 | 1.9 | -0.4 | 8.8 |
| 2004 | 0.2 | 1.3 | 1.2 | -1.9 | -0.6 | -1.9 | 0.7 | -0.3 | 3.8 | 1.5 | 2.8 | -0.2 | 6.4 |
| 2005 | 0.2 | 1.1 | 0.6 | 0.7 | 0.5 | -0.4 | -0.3 | -0.4 | 0.9 | 0.2 | 1.5 | -0.7 | 4.1 |
| 2006 | 0.1 | 1.5 | 0 | -0.5 | 0.8 | -0.4 | -1.2 | 0.6 | -1 | -1.3 | -1.3 | -0.7 | -3.2 |
| 2007 | 1 | -0.2 | -0.2 | -0.2 | -0.1 | -0.6 | 0.7 | 1.2 | 0.9 | -1.8 | -0.7 | -0.6 | -0.5 |
| 2008 | 2.2 | -2.1 | 3.6 | 3.5 | 0.4 | 0.8 | 0.2 | -1.9 | -2.9 | 0.2 | -7.9 | 1.8 | -2.6 |
| 2009 | -2.6 | -0.1 | 1.5 | 0.2 | 2.8 | 0.7 | 0.4 | -1.6 | -2.9 | -2.3 | 1.8 | -1.3 | -3.5 |
| 2010 | 1.1 | 1.4 | -0.1 | -2.1 | -1.4 | 0.1 | 0.5 | 3.1 | 0.4 | -0.1 | 2.5 | -0.4 | 5 |
| 2011 | 2 | -2.5 | 0.8 | 0.1 | -2.3 | 0.9 | -0.9 | -1.6 | -2.8 | -3.1 | -0.2 | -0.3 | -9.6 |
| 2012 | 1.9 | 1.3 | -0.1 | 0.9 | -3.3 | 4.4 | -0.9 | 0.9 | -1 | 2.3 | 0.1 | 0.9 | 7.5 |
| 2013 | 1.3 | 1.1 | -1.3 | -0.6 | -1.1 | 0.6 | 1.5 | 0.2 | 0.7 | 0 | 0.1 | 0.3 | 2.8 |
| 2014 | -0.5 | -1.2 | 1.7 | 0.2 | -1.1 | 1.2 | -1.1 | 1 | -1.6 | 1.6 | -0.6 | -0.8 | -1.2 |
| 2015 | -1.8 | -0.4 | -0.5 | 0.5 | 0.4 | 0.3 | 0 | -2.9 | 1.2 | -0.2 | 1.1 | -1.2 | -3.6 |
| 2016 | 0.4 | 3.7 | 0.8 | -0.2 | 0.4 | 0 | -0.1 | 0.2 | 0.6 | -0.5 | -3.3 | -0.8 | 1.1 |
| 2017 | -0.6 | 1.7 | 0.1 | 0.7 | 0.7 | 0 | 0.3 | -0.1 | 0.8 | -0.5 | -0.4 | -0.3 | 2.4 |
| 2018 | -0.3 | -0.8 | 1.9 | 0.9 | 1.6 | 0.4 | 0.6 | -0.1 | -0.3 | 1 | 1.2 | 1 | 7.2 |
| 2019 | 0.9 | 0.5 | 1.4 | -1.6 | -1.6 | 1.5 | -0.1 | -0.4 | -1.1 | 1.2 | -0.2 | 0.3 | 0.7 |
| 2020 | -1.8 | 0.4 | -4.7 | -3.1 | 1.1 | 1.7 | 0.8 | 2.7 | 1.9 | -2.6 | -0.8 | 0.2 | -4.4 |
| 2021 | 2.5 | 3 | 1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
